Specifically, the large stones (sarsen) are made of a type of sandstone called sarsen, which is a sedimentary rock. The smaller "bluestones" are made of a type of igneous rock called dolerite, which is a metamorphic rock.
While the bluestones are metamorphic, the overall structure of Stonehenge is built from sedimentary rock, as the sarsen stones are the most prominent and define the monument.